The human capacity to perform prolonged exercise is impaired in hot environments. To address this issue, a number of studies have investigated behavioral aspects of thermoregulation that are recognized as important factors in determining performance. In this review, we evaluated and interpreted the available knowledge regarding the voluntary control of exercise work rate in hot environments. Our analysis indicated that: (a) Voluntary reductions in exercise work rate in uncompensable heat aid thermoregulation and are, therefore, thermoregulatory behaviors. (b) Unlike thermal behavior during rest, the role of thermal comfort as the ultimate mediator of thermal behavior during exercise in the heat remains uncertain. By contrast, the rating of perceived exertion appears to be the key perceptual controller under such conditions, with thermal perception playing a more modulatory role. (c) Prior to increases in core temperature (when only skin temperature is elevated), reductions in self‐selected exercise work rate in the heat are likely mediated by thermal perception (thermal comfort and sensation) and its influence on the rating of perceived exertion. (d) However, when both core and skin temperatures are elevated, factors associated with cardiovascular strain likely dictate the rate of perceived exertion response, thereby mediating such voluntary reductions in exercise work rate.